221 citations · 588 across the 17 of their papers we have counts for
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q-fin.CP2020
Multi-Period Liability Clearing via Convex Optimal Control
Shane Barratt, Stephen Boyd
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control p…
q-fin.CP2020
Convex Optimization Over Risk-Neutral Probabilities
Shane Barratt, Jonathan Tuck, Stephen Boyd
We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk…